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War build-up and stock returns: evidence from Russian and Ukrainian stock markets

Khakan Najaf (Monash University Malaysia, School of Business, Kuala Lumpur, Malaysia)
Mayank Joshipura (School of Business Management, Narsee Monjee Institute of Management Studies, Mumbai, India)
Muneer M. Alshater (Faculty of Business, Philadelphia University, Amman, Jordan)

Journal of Risk Finance

ISSN: 1526-5943

Article publication date: 7 March 2023

Issue publication date: 28 April 2023




This study examined the impact of war/conflict-related news on the Russian and Ukrainian stock markets in the build-up and beginning of the war that sparked in the year 2022.


In order to examine the impact of war-related news on stock returns, data were gathered from the United States (US) and Russian stock indices, oil price and volatile index (VIX) from; Ukrainian stock values from website and daily related news retrieved from were analysed. The data were gathered from January 1, 2022 to February 24, 2022. Seeming unrealated regressions (SUR) and exponential generalised autoregressive conditional heteroscedastic (EGARCH) models were carried out to determine the formulated correlations. This study controlled the oil price, US stock returns, Chicago Board Options Exchange (CBOE) VIX and difference in stock returns of Russia and Ukraine.


The results are presented two-fold: first, war-related news between the two countries enhanced volatility and caused a significant decline in the stock market indices for both countries. Second, the Russian stock market faced a steeper decline in the build-up and the actual beginning of the war than the Ukrainian stock market. Notably, the Russian markets feared the adverse economic consequences that stemmed from the sanctions the US and the Western world imposed.

Research limitations/implications

As this study was based on early evidence, future studies with a longer window may provide better insights. This present study is restricted to the stock returns of the countries directly involved in the build-up towards war. Studies focusing on the impact of other asset classes, currencies, commodities and global stock markets might offer holistic insights.

Practical implications

The study outcomes suggest that global portfolio investors should stay away from stock markets of the war-raged countries and equity markets in general, but instead look for safe-haven assets.


The paper evaluates stock markets' performance during the pre-war period, considering the context of this historical war between the neighbours. It is important to understand this issue as this war is subject to sanctions by the US and leads to a global supply chain crisis.



The authors acknowledge the research funding support received from Monash University for implementing this research.


Najaf, K., Joshipura, M. and Alshater, M.M. (2023), "War build-up and stock returns: evidence from Russian and Ukrainian stock markets", Journal of Risk Finance, Vol. 24 No. 3, pp. 354-370.



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